Here is how I do it. With the diode not connected to the power supply turn it on and set the voltage just under the max forward voltage of the diode. You may need to find a graph for your diode to see what that is. For 445 diode about 4.5V would be good for starters. Next turn the current to zero. Turn off the power supply and short the output leads together. Then connect your diode and turn on the power supply. Slowly turn the current up to your desired setting.

As you can see in this video with this 445 diode 4.6V only let me put in about 900mA. So If I wanted to go higher then I would turn it off, disconnect the diode and repeat the whole process and increasing the voltage say 0.1V each time till I found the right voltage to allow the current I want to give it.

Also this was just a quick test for the diode. I would need a heatsink if I wanted to run it for more than a few seconds.

As you can see in this video with this 445 diode 4.6V only let me put in about 900mA. So If I wanted to go higher then I would turn it off, disconnect the diode and repeat the whole process and increasing the voltage say 0.1V each time till I found the right voltage to allow the current I want to give it.

What's the purpose of turning it off? What dangers would there be to dial up the voltage while the diode is running?